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Fair Value Accounting (Tables)

9 Months Ended

Sep. 30, 2019

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

The following tables summarize the carrying value and estimated market value of Cleco and Cleco Power’s financial instruments not measured at fair value on Cleco and Cleco Power’s Condensed Consolidated Balance Sheets:



Cleco
	AT SEPT. 30, 2019				AT DEC. 31, 2018
(THOUSANDS)	CARRYING VALUE*		FAIR VALUE		CARRYING VALUE*		FAIR VALUE
Long-term debt	$	3,191,452	$	3,407,190	$	2,889,631	$	2,859,924

* The carrying value of long-term debt does not include deferred issuance costs of $14.2 million at September 30, 2019, and $10.3 million at December 31, 2018.

Fair Value of Financial Assets and Liabilities Measured On A Recurring Basis

The following tables disclose for Cleco and Cleco Power the fair value of financial assets and liabilities measured on a recurring basis:



Cleco
	FAIR VALUE MEASUREMENTS AT REPORTING DATE
(THOUSANDS)	AT SEPT. 30, 2019		QUOTED PRICES IN ACTIVE MARKETS FOR IDENTICAL ASSETS (LEVEL 1)		SIGNIFICANT OTHER OBSERVABLE INPUTS (LEVEL 2)		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		AT DEC. 31, 2018		QUOTED PRICES IN ACTIVE MARKETS FOR IDENTICAL ASSETS (LEVEL 1)		SIGNIFICANT OTHER OBSERVABLE INPUTS (LEVEL 2)		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)
Asset description
Institutional money market funds	$	111,885	$	—	$	111,885	$	—	$	133,722	$	—	$	133,722	$	—
FTRs	9,926		—		—		9,926		23,355		—		—		23,355
Other commodity derivatives	745		—		745		—		—		—		—		—
Total assets	$	122,556	$	—	$	112,630	$	9,926	$	157,077	$	—	$	133,722	$	23,355
Liability description
FTRs	$	1,257	$	—	$	—	$	1,257	$	468	$	—	$	—	$	468
Other commodity derivatives	41		—		41		—		—		—		—		—
Total liabilities	$	1,298	$	—	$	41	$	1,257	$	468	$	—	$	—	$	468

Net Changes in Net Fair Value of FTR Assets and Liabilities Classified as Level 3

The following tables summarize the net changes in the net fair value of FTR assets and liabilities classified as Level 3 in the fair value hierarchy for Cleco and Cleco Power:



Cleco
	FOR THE THREE MONTHS ENDED SEPT. 30,						FOR THE NINE MONTHS ENDED SEPT. 30,
(THOUSANDS)	2019			2018			2019			2018
Beginning balance	$	14,665		$	25,133		$	22,887		$	7,044
Unrealized (losses) gains*	(1,234		)	4,520			(4,488		)	6,153
Purchases	557			1,251			26,401			26,734
Settlements	(5,319		)	(8,644		)	(36,131		)	(17,671		)
Ending balance	$	8,669		$	22,260		$	8,669		$	22,260
* Cleco Power’s unrealized (losses) gains are reported through Accumulated deferred fuel on Cleco’s Condensed Consolidated Balance Sheet. Cleco Cajun’s unrealized (losses) gains are reported through Purchased power on Cleco’s Condensed Consolidated Income Statement.

Significant Unobservable Inputs Used in Developing Fair Value of Level 3 Positions

The following tables quantify the significant unobservable inputs used in developing the fair value of Level 3 positions as of September 30, 2019, and December 31, 2018:



Cleco
	FAIR VALUE				VALUATION TECHNIQUE	SIGNIFICANT UNOBSERVABLE INPUTS	FORWARD PRICE RANGE
(THOUSANDS, EXCEPT FORWARD PRICE RANGE)	ASSETS		LIABILITIES				LOW			HIGH
FTRs at Sept. 30, 2019	$	9,926	$	1,257	RTO auction pricing	FTR price - per MWh	$	(2.29	)	$	3.14
FTRs at Dec. 31, 2018	$	23,355	$	468	RTO auction pricing	FTR price - per MWh	$	(4.40	)	$	15.10

Fair Value of Derivative Instruments as Recorded in Condensed Consolidated Balance Sheets

The following tables present the fair values of derivative instruments and their respective line items as recorded on Cleco and Cleco Power’s Condensed Consolidated Balance Sheets at September 30, 2019, and December 31, 2018:



Cleco
	DERIVATIVES NOT DESIGNATED AS HEDGING INSTRUMENTS
(THOUSANDS)	BALANCE SHEET LINE ITEM	AT SEPT. 30, 2019		AT DEC. 31, 2018
Commodity-related contracts
FTRs
Current	Energy risk management assets	$	9,926	$	23,355
Current	Energy risk management liabilities	1,257		468
Other commodity derivatives
Current	Energy risk management assets	745		—
Current	Energy risk management liabilities	41		—
Commodity-related contracts, net		$	9,373	$	22,887

Amount of Gain (Loss) Recognized in Income on Derivatives

The following tables present the effect of derivatives not designated as hedging instruments on Cleco and Cleco Power’s Condensed Consolidated Statements of Income for the nine months ended September 30, 2019, and 2018:



Cleco
	AMOUNT OF GAIN(LOSS) RECOGNIZED IN INCOME ON DERIVATIVES
		FOR THE THREE MONTHS ENDED SEPT. 30,						FOR THE NINE MONTHS ENDED SEPT. 30,
(THOUSANDS)	INCOME STATEMENT LINE ITEM	2019			2018			2019			2018
Commodity-related contracts
FTRs⁽¹⁾	Electric operations	$	1,997		$	7,241		$	12,396		$	32,407
FTRs⁽¹⁾	Purchased power	(2,648		)	(1,587		)	(12,985		)	(3,288		)
Other commodity derivatives	Fuel used for electric generation	3,474			—			704			—
Total		$	2,823		$	5,654		$	115		$	29,119

⁽¹⁾ For the three and nine months ended September 30, 2019, unrealized losses associated with FTRs for Cleco Power of $1.7 million and $3.6 million, respectively, were reported through Accumulated deferred fuel on the balance sheet. For the three and nine months ended September 30, 2018, unrealized gains associated with FTRs for Cleco Power of $4.5 million and $6.2 million, respectively, were reported through Accumulated deferred fuel on the balance sheet.

CLECO POWER

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Carrying Value and Estimated Fair Value



Cleco Power
	AT SEPT. 30, 2019				AT DEC. 31, 2018
(THOUSANDS)	CARRYING VALUE*		FAIR VALUE		CARRYING VALUE*		FAIR VALUE
Long-term debt	$	1,380,605	$	1,625,480	$	1,400,930	$	1,517,152

* The carrying value of long-term debt does not include deferred issuance costs of $7.6 million at September 30, 2019, and $8.3 million at December 31, 2018.

Fair Value of Financial Assets and Liabilities Measured On A Recurring Basis



Cleco Power
	FAIR VALUE MEASUREMENTS AT REPORTING DATE
(THOUSANDS)	AT SEPT. 30, 2019		QUOTED PRICES IN ACTIVE MARKETS FOR IDENTICAL ASSETS (LEVEL 1)		SIGNIFICANT OTHER OBSERVABLE INPUTS (LEVEL 2)		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		AT DEC. 31, 2018		QUOTED PRICES IN ACTIVE MARKETS FOR IDENTICAL ASSETS (LEVEL 1)		SIGNIFICANT OTHER OBSERVABLE INPUTS (LEVEL 2)		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)
Asset description
Institutional money market funds	$	76,947	$	—	$	76,947	$	—	$	55,900	$	—	$	55,900	$	—
FTRs	8,601		—		—		8,601		23,355		—		—		23,355
Total assets	$	85,548	$	—	$	76,947	$	8,601	$	79,255	$	—	$	55,900	$	23,355
Liability description
FTRs	$	577	$	—	$	—	$	577	$	468	$	—	$	—	$	468
Total liabilities	$	577	$	—	$	—	$	577	$	468	$	—	$	—	$	468

Net Changes in Net Fair Value of FTR Assets and Liabilities Classified as Level 3



Cleco Power
	FOR THE THREE MONTHS ENDED SEPT. 30,						FOR THE NINE MONTHS ENDED SEPT. 30,
(THOUSANDS)	2019			2018			2019			2018
Beginning balance	$	13,910		$	25,133		$	22,887		$	7,044
Unrealized (losses) gains*	(1,700		)	4,520			(3,644		)	6,153
Purchases	1,133			1,251			20,961			26,734
Settlements	(5,319		)	(8,644		)	(32,180		)	(17,671		)
Ending balance	$	8,024		$	22,260		$	8,024		$	22,260
* Unrealized (losses) gains are reported through Accumulated deferred fuel on Cleco Power’s Condensed Consolidated Balance Sheet.

Significant Unobservable Inputs Used in Developing Fair Value of Level 3 Positions



Cleco Power
	FAIR VALUE				VALUATION TECHNIQUE	SIGNIFICANT UNOBSERVABLE INPUTS	FORWARD PRICE RANGE
(THOUSANDS, EXCEPT FORWARD PRICE RANGE)	ASSETS		LIABILITIES				LOW			HIGH
FTRs at Sept. 30, 2019	$	8,601	$	577	RTO auction pricing	FTR price - per MWh	$	(1.67	)	$	2.79
FTRs at Dec. 31, 2018	$	23,355	$	468	RTO auction pricing	FTR price - per MWh	$	(4.40	)	$	15.10

Fair Value of Derivative Instruments as Recorded in Condensed Consolidated Balance Sheets



Cleco Power
	DERIVATIVES NOT DESIGNATED AS HEDGING INSTRUMENTS
(THOUSANDS)	BALANCE SHEET LINE ITEM	AT SEPT. 30, 2019		AT DEC. 31, 2018
Commodity-related contracts
FTRs
Current	Energy risk management assets	$	8,601	$	23,355
Current	Energy risk management liabilities	577		468
Commodity-related contracts, net		$	8,024	$	22,887

Amount of Gain (Loss) Recognized in Income on Derivatives



Cleco Power
	AMOUNT OF GAIN(LOSS) RECOGNIZED IN INCOME ON DERIVATIVES
		FOR THE THREE MONTHS ENDED SEPT. 30,						FOR THE NINE MONTHS ENDED SEPT. 30,
(THOUSANDS)	INCOME STATEMENT LINE ITEM	2019			2018			2019			2018
Commodity-related contracts
FTRs⁽¹⁾	Electric operations	$	1,997		$	7,241		$	12,400		$	32,407
FTRs⁽¹⁾	Purchased power	(1,828		)	(1,587		)	(4,800		)	(3,288		)
Total		$	169		$	5,654		$	7,600		$	29,119

⁽¹⁾ For the three and nine months ended September 30, 2019, unrealized losses associated with FTRs of $1.7 million and $3.6 million, respectively, were reported through Accumulated deferred fuel on the balance sheet. For the three and nine months ended September 30, 2018, unrealized gains associated with FTRs of $4.5 million and $6.2 million, respectively, were reported through Accumulated deferred fuel on the balance sheet.